SAP ABAP Function Module RM_ONETOUCH_PRICE_EURO (Price of a One-Touch Digital Option According to Rubinstein)
Hierarchy
☛
EA-FINSERV (Software Component) SAP Enterprise Extension Financial Services
⤷ FIN-FSCM-TRM-MR (Application Component) Market Risk Analyzer
⤷ FTBB (Package) Risk Management Basis
⤷ FIN-FSCM-TRM-MR (Application Component) Market Risk Analyzer
⤷ FTBB (Package) Risk Management Basis
Basic Data
Function Module | RM_ONETOUCH_PRICE_EURO | Price of a One-Touch Digital Option According to Rubinstein |
Function Group | RMOP | Risk Management: Option Control |
Program Name | SAPLRMOP | Risk Management: Option Control |
INCLUDE Name | LRMOPU10 |
Parameters
Type | Parameter Name | Typing | Associated Type | Default value | Optional | Pass Value | Short text |
---|---|---|---|---|---|---|---|
Exporting | OPT_PRICE | TYPE | F | Output Price According to Merton or B&S | |||
Importing | OPT_DAYS | TYPE | I | Remaining Term in Days | |||
Importing | OPT_DOMESTIC_RATE | TYPE | JBD11-IFR | Domestic Interest Rate in Decimal Number (5.8 for 5,8%) | |||
Importing | OPT_FOREIGN_RATE | TYPE | JBD11-IFR | Foreign Interest Rate | |||
Importing | OPT_SPOT | TYPE | F | Current Rate of Underlying | |||
Importing | OPT_BARRIER | TYPE | F | Rate at Which Rebate is Paid | |||
Importing | OPT_REBATE | TYPE | VTVFGOP08-REBETR | One-Off Payment When Barrier is Reached | |||
Importing | I_VOLA | TYPE | F | Volatility of Underlying (10.2 for 10,2%) | |||
Importing | UP_DOWN | TYPE | C | 'U' | Indicator: Is Barrier Up or Down? | ||
Exception | NEG_BARRIER | TYPE | Negative Barrier | ||||
Exception | NEG_DAYS | TYPE | No or Negative Remaining Term | ||||
Exception | NO_UD | TYPE | Up - Down Indicator Not U or D | ||||
Exception | ZERO_NEG_SPOT | TYPE | No or Negative Spot Rate | ||||
Exception | ZERO_NEG_VOLA | TYPE | No or Negative Vola | ||||
Processing Type
Normal Function Module | |
Remote-Enabled Module | BaseXML supported |
Update Module | Start immediately |
Immediate Start, No Restart | |
Start Delayed | |
Coll.run | |
JAVA Module Callable from ABAP | |
Remote-Enabled JAVA Module | |
Module Callable from JAVA |
History
Last changed by/on | SAP | 20011004 |
SAP Release Created in |